Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/150418 
Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 7 [Issue:] 2 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2016 [Pages:] 591-611
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
How much have the dynamics of U.S. time series changed over the last century? Has the evolution of the Federal Reserve as an institution over the 100 years altered the transmission of monetary policy shocks? To tackle these questions, we build a multivariate time series model with time-varying parameters and stochastic volatility that features measurement errors in observables. We find substantial changes in the structure of the economy. There is also large variation in the impact of monetary policy shocks, but the majority of this variation is driven by changes in exogenous volatility.
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